Search results
Results: 17
Number of items: 17
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Cox, S., Cuchiero, C., & Khedher, A. (2024). Infinite-dimensional Wishart processes. Electronic Journal Of Probability, 29, Article 123. https://doi.org/10.1214/24-EJP1173 -
Michielon, M., Khedher, A., & Spreij, P. (2024). Proxying credit curves via Wasserstein distances. Annals of Operations Research, 336(1-2), 1351-1367. https://doi.org/10.1007/s10479-022-04552-3
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Michielon, M., Franquinho, D., Gentile, A., Khedher, A., & Spreij, P. (2024). Neural network empowered liquidity pricing in a two-price economy under conic finance settings. Quantitative Finance, 24(8), 1129-1156. https://doi.org/10.1080/14697688.2024.2390947
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He, J., Khedher, A., & Spreij, P. (2024). A dimension reduction approach for loss valuation in credit risk modeling. International Journal of Financial Engineering, 11(1), Article 2350058. https://doi.org/https://arxiv.org/abs/2401.00085, https://doi.org/10.1142/S2424786323500640
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Michielon, M., Khedher, A., & Spreij, P. (2023). On Wasserstein distances, barycenters, and the cross-section methodology for proxy credit curves. International Journal of Financial Engineering, 10( 2), Article 2250037. https://doi.org/10.1142/S2424786322500372
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Cox, S., Karbach, S., & Khedher, A. (2022). An infinite-dimensional affine stochastic volatility model. Mathematical Finance, 32(3), 878-906. https://doi.org/10.1111/mafi.12347
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Cox, S., Karbach, S., & Khedher, A. (2022). Affine pure-jump processes on positive Hilbert–Schmidt operators. Stochastic Processes and their Applications, 151, 191-229. https://doi.org/10.1016/j.spa.2022.05.008
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Michielon, M., Khedher, A., & Spreij, P. (2021). From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations. International Journal of Theoretical and Applied Finance, 24(3), Article 2150017. https://doi.org/10.48550/arXiv.2108.06578, https://doi.org/10.1142/S0219024921500175
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